Related papers: Sinkhorn Ambiguity Sets for Distributionally Robus…
State estimation in the presence of uncertain or data-driven noise distributions remains a critical challenge in control and robotics. Although the Kalman filter is the most popular choice, its performance degrades significantly when…
In this paper, we introduce a framework for contextual distributionally robust optimization (DRO) that considers the causal and continuous structure of the underlying distribution by developing interpretable and tractable decision rules…
The integration of various power sources, including renewables and electric vehicles, into smart grids is expanding, introducing uncertainties that can result in issues like voltage imbalances, load fluctuations, and power losses. These…
We study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein distance to a reference random vector. We give conditions when…
We explore the infinite-horizon Distributionally Robust (DR) linear-quadratic control. While the probability distribution of disturbances is unknown and potentially correlated over time, it is confined within a Wasserstein-2 ball of a…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
We consider distributionally robust optimization problems where the uncertainty is modeled via a structured Wasserstein ambiguity set. Specifically, the ambiguity is restricted to product measures $P^{\otimes N}$, where $P$ lies within a…
We study the continuity properties of optimal solutions to stochastic control problems with respect to initial probability measures and applications of these to the robustness of optimal control policies applied to systems with incomplete…
We study a generalized distributionally robust chance-constrained set covering problem (DRC) with a Wasserstein ambiguity set, where both decisions and uncertainty are binary-valued. We establish the NP-hardness of DRC and recast it as a…
We introduce the Sinkhorn treatment effect, an entropic optimal transport measure of divergence between counterfactual distributions. Unlike classical quantities such as the average treatment effect, this measure captures differences across…
We present a new framework to address the non-convex robust hypothesis testing problem, wherein the goal is to seek the optimal detector that minimizes the maximum of worst-case type-I and type-II risk functions. The distributional…
We consider distributionally robust optimal control of stochastic linear systems under signal temporal logic (STL) chance constraints when the disturbance distribution is unknown. By assuming that the underlying predicate functions are…
We study model predictive control (MPC) problems for stochastic LTI systems, where the noise distribution is unknown, compactly supported, and only observable through a limited number of i.i.d. noise samples. Building upon recent results in…
Distributionally robust optimization (DRO) incorporates robustness against uncertainty in the specification of probabilistic models. This paper focuses on mitigating the curse of dimensionality in data-driven DRO problems with optimal…
Safety in obstacle avoidance is critical for autonomous driving. While model predictive control (MPC) is widely used, simplified prediction models such as linearized or single-track vehicle models introduce discrepancies between predicted…
This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…
We investigate the Distributionally Robust Regret-Optimal (DR-RO) control of discrete-time linear dynamical systems with quadratic cost over an infinite horizon. Regret is the difference in cost obtained by a causal controller and a…
We propose a distributionally robust data-driven predictive control framework for stochastic linear time-invariant systems with unknown dynamics and disturbance distributions. We use an offline trajectory to fit the subspace predictive…
We present a data-driven approach for distributionally robust chance constrained optimization problems (DRCCPs). We consider the case where the decision maker has access to a finite number of samples or realizations of the uncertainty. The…
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple independent components. The aim of this paper is to solve…